Exploring the future of financial data architecture: AI-native financial data foundation, large-scale financial data processing, and enterprise data quality & governance.
Tag: Fixed Income
In the previous blog post, I implemented the bootstrapping spot curve in both Python and DolphinDB. However, to boost productivity and improve reusability, it's more efficient to leverage an established quantitative library. QuantLib is a widely-used open-source library for fixed income and derivatives pricing, offering a variety of curve fitting methods and built-in bootstrapping functionality. … Continue reading Curve Fitting with QuantLib
The spot curve forms the foundation for pricing fixed income securities and interest rate-related instruments. It represents the yields on zero-coupon bonds across various maturities under current market conditions. By using the spot curve to discount the cash flows generated by these securities, we can derive their prices. The other rate, such as forward rates, … Continue reading Bootstrapping Spot Rate Curves
A swaption is an option on an interest rate swap. As previously discussed, an interest rate swap involves two parties: the fixed-rate payer (who receives the floating rate) and the fixed-rate receiver (who pays the floating rate). A swaption grants the holder the right, but not the obligation, to enter into a swap contract as … Continue reading Swaption Valuation
Interest rate options are options based on interest rates, where the underlying asset is a reference interest rate, typically in the form of a Forward Rate Agreement (FRA). For instance, an interest rate call option on a 3-month MRR (market reference rate) with 9 months to expiration would have a 3-month FRA rate expiring in … Continue reading Interest Rate Options Valuation
In this blog series, I will aim to code the formulas and model algorithms covered in the CFA Level 2 program using Python and DolphinDB. Each topic will begin with a brief explanation of the formulas or algorithms, followed by their implementations in Python and DolphinDB. An Interest Rate Swap (IRS) is a financial derivative … Continue reading Interest Rate Swap Pricing and Valuation
In this blog series, I will aim to code the formulas and model algorithms covered in the CFA Level 2 program using Python and DolphinDB. Each topic will begin with a brief explanation of the formulas or algorithms, followed by their implementations in Python and DolphinDB. Bond futures are financial contracts that obligate the buyer … Continue reading Bond Futures Pricing
In this blog series, I will aim to code the formulas and model algorithms covered in the CFA Level 2 program using Python and DolphinDB. Each topic will begin with a brief explanation of the formulas or algorithms, followed by their implementations in Python and DolphinDB. This blog post focuses on pricing and valuing forward … Continue reading FRA Pricing & Valuation
Data Ninjago (Financial Data Architecture) 
You must be logged in to post a comment.